Exchange rate and inflation between China and the United States: A bootstrap rolling-window approach

Liu, Tie-Ying; Ma, Jun-Teng

doi:10.1016/j.ecosys.2023.101152

Economic Systems

2024

DOI: 10.1016/j.ecosys.2023.101152

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Exchange rate and inflation between China and the United States: A bootstrap rolling-window approach

Tie-Ying Liu,

Jun-Teng Ma

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2024

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Cited by 2 publications

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Investor attention and consumer price index inflation rate: Evidence from the United States

Zhu,

Zhou,

Zhang

2024

Humanit Soc Sci Commun

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Explaining and forecasting inflation are important and challenging tasks because inflation is one focus of macroeconomics. This paper introduces novel investor attention to the field of inflation for the first time. Specifically, the Granger causality test, vector autoregression (VAR) model, certain linear models, and several statistical indicators are adopted to illustrate the roles of investor attention in explaining and forecasting inflation. The empirical results can be summarized as follows. First, investor attention is the Granger cause of the inflation rate and has a negative impact on inflation. Second, predictive models that incorporate investor attention can significantly outperform the commonly used benchmark models in inflation forecasting for both short and long horizons. Third, the robustness checks show that updating investor attention or the model specification does not change the conclusion of the crucial role of investor attention in explaining and forecasting inflation. Finally, this paper proves that investor attention influences inflation through inflation expectations. In summary, this paper demonstrates the importance of investor attention for macroeconomics, as investor attention affects inflation.

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Investor attention and consumer price index inflation rate: Evidence from the United States

Zhu,

Zhou,

Zhang

2024

Humanit Soc Sci Commun

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The Relationship of Inflation Expectations Adjusted to Different Levels With Capital and Monetary Variables

Alpağut

2024

Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi

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This study seeks to answer the question of which macroeconomic variables are used as determinants by individuals with low expectations and individuals with high expectations. For this purpose, inflation expectations were divided into three categories: 0 to 20, 20 to 40 and over 40. In this way, low, medium and high inflation expectations were obtained. The aim was to determine the relationship between different inflation expectations and macroeconomic variables. The study used monthly data for the period 2013-2023. The Phillips-Ouliaris co-integration method was used to determine the long-run relationship and DOLS and FMOLS estimators were used to estimate the long-run coefficients. The results show that the variables credit interest, money supply, inflation and stocks are determinants of low inflation expectations, the exchange rate, money supply and inflation are determinants of medium inflation expectations and the exchange rate, credit interest, money supply, inflation and deposit interest are determinants of high inflation expectations. Two points stand out. The first is that when long-term coefficients are evaluated, the coefficients take insignificantly low values in low inflation expectations. This result indicates that individuals expecting low inflation do not establish a strong sensitivity despite taking into account capital and money variables. The second point is that the capital variable stock is statistically insignificant in medium and high inflation expectations. This result indicates that only monetary variables are taken into account in medium and high inflation expectations.

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Exchange rate and inflation between China and the United States: A bootstrap rolling-window approach

Cited by 2 publications

References 40 publications

Investor attention and consumer price index inflation rate: Evidence from the United States

Investor attention and consumer price index inflation rate: Evidence from the United States

The Relationship of Inflation Expectations Adjusted to Different Levels With Capital and Monetary Variables

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